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Modeling multivariate interest rates using time-varying copulas and reducible nonlinear stochastic differential equations

Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 198-236

Persistent link: https://www.econbiz.de/10009125140

When is a copula constant? : a test for changing relationships

Busetti, Fabio; Harvey, Andrew C. - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 106-131

Persistent link: https://www.econbiz.de/10009125155

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - In: Journal of economic dynamics & control 34 (2010) 9, pp. 1596-1609

Persistent link: https://www.econbiz.de/10009125848

Essays on financial risk : forecasts and investor perceptions

Sokolinskiy, Oleg - 2011

Persistent link: https://www.econbiz.de/10009317703

Goodness-of-fit tests for parametric families of Archimedean copulas

Savu, Cornelia; Trede, Mark - 2004

This paper suggests a goodness-of-fit test for parametric families of Archimedean copulas for high dimensional distributions. The test statistic is based on the classical chi-square-statistic but has a nonstandard asymptotic distribution. Monte-Carlo simulations show that the test keeps the...

Persistent link: https://www.econbiz.de/10009349860

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 552-563

Persistent link: https://www.econbiz.de/10009355592

Weighted power mean copulas : theory and application

Klein, Ingo; Fischer, Matthias; Pleier, Thomas - 2011 - [Rev. version]

It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More general, we … focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different … counterexamples reveal. However, various conditions regarding the mean function and the underlying copula are given which guarantee …

Persistent link: https://www.econbiz.de/10009355602

A hierarchical Archimedean copula for portfolio credit risk modelling

Puzanova, Natalia - 2011

copula generators by construction. This makes sampling straightforward. Moreover, I provide details on a particular … Expected Shortfall for a credit portfolio. -- Portfolio Credit Risk ; Nested Archimedean Copula ; Tail Dependence …

Persistent link: https://www.econbiz.de/10009373402

Copula bivariate probit models : with an application to medical expenditures

Winkelmann, Rainer - 2011

Persistent link: https://www.econbiz.de/10009492044

On the invariant properties of notions of positive dependence and copulas under increasing transformations

Cai, Jun; Wei, Wei - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 43-49

Persistent link: https://www.econbiz.de/10009501702